| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5638 |
| 来源ID | Working Paper 5638 |
| Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing | |
| David Backus; Silverio Foresi; Stanley Zin | |
| 发表日期 | 1996-06-01 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | Mathematical models of bond pricing are used by both academics and Wall Street practitioners, with practitioners introducing time-dependent parameters to fit arbitrage-free models to selected asset prices. We show, in a simple one-factor setting, that the ability of such models to reproduce a subset of security prices need not extend to state-contingent claims more generally. The popular Black-Derman-Toy model, for example, overprices call options on long bonds relative to those on short bonds when interest rates exhibit mean reversion. We argue, more generally, that the additional parameters of arbitrage-free models should be complemented by close attention to fundamentals, which might include mean reversion, multiple factors, stochastic volatility, and/or non-normal interest rate distributions. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w5638 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563115 |
| 推荐引用方式 GB/T 7714 | David Backus,Silverio Foresi,Stanley Zin. Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing. 1996. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5638.pdf（1454KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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